Suppose I have a bond, with a face value of 95, a coupon of 2%, and a maturity of 50 years. Suppose the discount curve is flat at 2%, and there is no credit spread.
I am trying to calculate what happens when the credit/ interest rates change.
For example, how can I revalue the bond if the credit spread increases by 80bps, and interest rates increase to 3%?
Ideally I'd like to understand the theory behind it, as well as a method for calculating this (doesn't have to be exact, an approximation is fine).